Volatility connectedness and market dependence across major financial markets in China economy

With the increasing openness of China economy, goal this paper is to examine volatility connectedness and spillover transmissions across markets for stock, public real estate, bond, commodity futures, foreign exchange within economy. Over full study period, we find that five China's financial are not strongly connected. The bond market predominant transmission, whereas futures top net recipient shocks. role transmission increased during three crisis periods studied. Additionally, display some degree nonlinear causal dependence. During Chinese stock crash, estate reacted with similar patterns larger positive or negative responses shocks, bonds have milder shocks response. Our findings important implications portfolio investors in asset diversification policymakers their domestic macroprudential policy coordination control.